1. A deep learning method for solving multi-dimensional coupled forward–backward doubly SDEs.
- Author
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Wang, Sicong, Teng, Bin, Shi, Yufeng, and Zhu, Qingfeng
- Subjects
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ARTIFICIAL neural networks , *STOCHASTIC partial differential equations , *DEEP learning , *STOCHASTIC differential equations , *MATHEMATICAL decoupling - Abstract
Forward–backward doubly stochastic differential equations (FBDSDEs) serve as a probabilistic interpretation of stochastic partial differential equations (SPDEs) with diverse applications. Coupled FBDSDEs encounter numerous challenges in numerical approximation compared to forward–backward stochastic differential equations (FBSDEs) and decoupled FBDSDEs, including ensuring the measurability of the numerical solutions, accounting for the mutual influences between forward and backward processes, and considering the relationship with respect to SPDEs rather than PDEs. This paper introduces, for the first time, a numerical method for solving multi-dimensional coupled FBDSDEs. By integrating an optimal control-based approach with deep neural networks, it effectively addresses the coupling-related challenges between forward and backward equations. Computational examples of coupled FBDSDEs with explicit solutions demonstrate that the proposed deep learning-based numerical algorithm achieves commendable performance in terms of both accuracy and efficiency. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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